Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Nov 24 (2D) Nov 25 (3D) Nov 26 (4D) Nov 27 (5D) Nov 28 (6D) Dec 01 (9D) Dec 02 (10D) Dec 03 (11D) Dec 04 (12D) Dec 05 (13D) Dec 12 (20D) Dec 19 (27D) Dec 26 (34D)
lower 647.60 645.031 642.866 640.958 639.233 634.783 633.472 632.224 631.032 629.889 622.885 617.034 611.903
upper 670.46 673.029 675.194 677.102 678.827 683.277 684.588 685.836 687.028 688.171 695.175 701.026 706.157
expected move 11.43 13.999 16.164 18.072 19.797 24.247 25.558 26.806 27.998 29.141 36.145 41.996 47.127
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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